This article assesses the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates over the period 1989 2003. We identify the currency components of the mean and volatility processes of exchange rates...

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying...

Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to...

In this paper, I investigate the effects of central bank interventions (CBIs) on the ex post correlation and covariance of exchange rates. Using a multivariate GARCH model with time-varying conditional covariances, we estimate the effects of CBIs on both the variances and covariance between the...

We measure stock market co-exeedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method is based on quantile regressions and enables us to measure comovement at each point of the return distribution. First, we construct an annual co-exeedance...

We measure stock market co-exeedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method is based on quantile regressions and enables us to measure comovement at each point of the return distribution. First, we construct an annual co-exeedance...

In this paper, we test for linear and nonlinear Granger causality between the French, German, Japanese, UK and US daily stock index returns from 1973 to 2003. To avoid spurious nonlinear causality, we filter out heteroskedasticity using a FIGARCH model and control for multiple structural breaks....

Since Collier and Hoeffler (1998, 2004), it has been supported that inequality, measured at national level, does not affect the risk of conflict. Such a result has been much debated in the literature. Based on a revisited theoretical framework, the purpose of the paper is to explore the role of...

Every year, thousands of people flee their country of origin to seek protection mainly in neighboring countries. Understanding better the consequences of temporary population shocks on hosting economies should help to guide policies to enhance resilience in emergency situations. This study...

This paper documents the impact of the violent civil war affecting the Democratic Republic of Congo in the period 1997–2004 on infant mortality. It adopts an instrumental variable approach to correct for the nonrandom timing and location of conflict events using mineral price index...